数学物理学报(英文版) ›› 1999, Vol. 19 ›› Issue (3): 261-271.
JUMP DETECTION BY WAVELET IN NONLINEAR MODELS
李元, 谢衷洁
JUMP DETECTION BY WAVELET IN NONLINEAR MODELS
LI Yuan, XIE Zhong-Ji
摘要:
Wavelets are applied to detection of the jump points of a regression function
in nonlinear autoregressive model xt=T(xt-1)+εt.
By checking the empirical wavelet coefficients of the data
,which have significantly large absolute values across fine scale levels,
the number of the jump points and locations where the jumps occur are estimated.
The jump heights are also estimated.
All estimators are shown to be consistent.Wavelet method is also applied
to the threshold AR(1) model(TAR(1)).The simple estimators of the thresholds
are given,which are shown to be consistent.
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